Improve regression algorithms

Author: jhonabreul

Algorithm.CSharp/SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm.cs

@@ -0,0 +1,88 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ *
+ * Licensed under the Apache License, Version 2.0 (the "License");
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ *
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+*/
+
+using System;
+using System.Collections.Generic;
+using QuantConnect.Securities;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm testing the behavior of the algorithm when a security is removed and re-added.
+    /// It asserts that the securities are marked as non-tradable when removed and that they are tradable when re-added.
+    /// It also asserts that the algorithm receives the correct security changed events for the added and removed securities.
+    ///
+    /// Additionally, it tests that the security is initialized after every addition, and no more.
+    ///
+    /// This specific algorithm tests this behavior for manually added future contracts.
+    /// </summary>
+    public class SecurityInitializationOnReAdditionForManuallyAddedFutureContractRegressionAlgorithm : SecurityInitializationOnReAdditionForEquityRegressionAlgorithm
+    {
+        private static readonly Symbol _futureContractSymbol = QuantConnect.Symbol.CreateFuture(Futures.Indices.SP500EMini, Market.CME, new DateTime(2013, 12, 20));
+
+        protected override DateTime StartTimeToUse => new DateTime(2013, 10, 07);
+
+        protected override DateTime EndTimeToUse => new DateTime(2013, 10, 17);
+
+        protected override Security AddSecurity()
+        {
+            return AddFutureContract(_futureContractSymbol, Resolution.Daily);
+        }
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public override long DataPoints => 85;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public override int AlgorithmHistoryDataPoints => 48;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "0"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-9.029"},
+            {"Tracking Error", "0.155"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
+        };
+    }
+}

Algorithm.CSharp/SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm.cs

@@ -34,6 +34,7 @@ namespace QuantConnect.Algorithm.CSharp
     /// </summary>
     public class SecurityInitializationOnReAdditionForSelectedOptionRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
     {
+        private Symbol _canonicalOption;
         private List<Symbol> _contractsToSelect;
         private HashSet<Option> _selectedContracts = new();
         private bool _selectSingle;
@@ -93,6 +94,8 @@ public override void Initialize()
                 Log($"[{Time}] [{UtcTime}] Selecting {string.Join(", ", selected.Select(x => x.Value))}");
                 return selected;
             }));
+
+            _canonicalOption = option.Symbol;
         }
 
         public override void OnSecuritiesChanged(SecurityChanges changes)
@@ -113,6 +116,21 @@ public override void OnSecuritiesChanged(SecurityChanges changes)
                 }
             }
 
+            var underlyingEquity = changes.AddedSecurities.FirstOrDefault(x => x.Symbol == _canonicalOption.Underlying);
+            if (Time == StartDate)
+            {
+                if (underlyingEquity == null)
+                {
+                    throw new RegressionTestException($"Expected the underlying equity to be added. " +
+                        $"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}");
+                }
+            }
+            else if (underlyingEquity != null)
+            {
+                throw new RegressionTestException($"Expected the underlying equity to not be added. " +
+                    $"Added: {string.Join(", ", changes.AddedSecurities.Select(x => x.Symbol.Value))}");
+            }
+
             var addedContracts = changes.AddedSecurities.OfType<Option>().ToList();
             if (addedContracts.Any(x => !_securityInializationCounts.TryGetValue(x, out var count) || count != 1))
             {